| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 21.69% | 13.97% |
| CAGR﹪ | 11.06% | 7.24% |
| Sharpe | 0.56 | 19.46 |
| Prob. Sharpe Ratio | 73.6% | 99.98% |
| Smart Sharpe | 0.54 | 18.79 |
| Sortino | 0.7 | - |
| Smart Sortino | 0.68 | - |
| Sortino/√2 | 0.5 | - |
| Smart Sortino/√2 | 0.48 | - |
| Omega | 1.12 | 1.12 |
| Max Drawdown | -47.24% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 36.45% | 0.45% |
| R^2 | 0.22 | 0.22 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.23 | - |
| Skew | -4.16 | 12.28 |
| Kurtosis | 49.11 | 160.08 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 0.99% | 0.66% |
| Expected Yearly | 6.76% | 4.45% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.7% | -0.01% |
| Expected Shortfall (cVaR) | -3.7% | -0.01% |
| Max Consecutive Wins | 8 | 374 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | 0.12 | - |
| Gain/Pain (1M) | 0.36 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.12 | - |
| Common Sense Ratio | 1.27 | - |
| CPC Index | - | - |
| Tail Ratio | 1.14 | 2.04 |
| Outlier Win Ratio | 1.8 | 72.3 |
| Outlier Loss Ratio | 1.72 | - |
| MTD | -4.15% | 0.81% |
| 3M | 17.47% | 2.52% |
| 6M | 25.68% | 4.29% |
| YTD | 40.92% | 5.66% |
| 1Y | 78.44% | 7.84% |
| 3Y (ann.) | 11.06% | 7.24% |
| 5Y (ann.) | 11.06% | 7.24% |
| 10Y (ann.) | 11.06% | 7.24% |
| All-time (ann.) | 11.06% | 7.24% |
| Best Day | 8.05% | 0.41% |
| Worst Day | -26.66% | 0.0% |
| Best Month | 31.77% | 0.82% |
| Worst Month | -28.84% | 0.55% |
| Best Year | 40.92% | 6.57% |
| Worst Year | -16.44% | 1.21% |
| Avg. Drawdown | -5.85% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.46 | - |
| Ulcer Index | 0.22 | 0.0 |
| Serenity Index | 0.06 | - |
| Avg. Up Month | 10.81% | 0.66% |
| Avg. Down Month | - | - |
| Win Days | 53.26% | 100.0% |
| Win Month | 55.0% | 100.0% |
| Win Quarter | 87.5% | 100.0% |
| Win Year | 66.67% | 100.0% |
| Beta | -37.51 | - |
| Alpha | 3.5 | - |
| Correlation | -46.48% | - |
| Treynor Ratio | -0.58% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.21 | 3.33 | 2.75 | + |
| 2022 | 6.57 | -16.44 | -2.50 | - |
| 2023 | 5.66 | 40.92 | 7.23 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-05-30 | 2023-06-28 | -47.24 | 394 |
| 2023-08-14 | 2023-09-22 | -9.65 | 39 |
| 2022-01-14 | 2022-02-25 | -7.83 | 42 |
| 2021-11-23 | 2022-01-04 | -6.56 | 42 |
| 2021-11-17 | 2021-11-22 | -2.13 | 5 |
| 2023-07-20 | 2023-07-28 | -1.88 | 8 |
| 2022-01-06 | 2022-01-13 | -1.59 | 7 |
| 2021-11-09 | 2021-11-12 | -1.50 | 3 |
| 2023-07-06 | 2023-07-12 | -0.98 | 6 |
| 2023-07-03 | 2023-07-05 | -0.74 | 2 |